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In a not super scientific explanation, hot air rises and is less dense than cold air, this changes how light passes through it compared to the rest of the air. Shadows are essentially less light dense areas, so by changing how light passes through it you naturally get less dense regions behind the distortion making it darker than the other areas, aka a shadow. Air, being transparent though, there is less distortion than an opaque object, such as yourself, which has greater ability to distort (or rather, prevent) light in that area. (Your shadow)